<p>
  The Chicago Board Options Exchange (CBOE) introduced the Volatility Index (VIX) in 1993 to provide a measure of the implied volatility of 30-day, at the money S&amp;P 100 index options.
  Volatility has become a widely accepted asset class since the introduction of the VIX futures contracts in 2004. VIX futures are often used for hedging purpose because of its negative correlation with the equity market return. When we talk about the term structure of futures, we often refer to the forward curve.
  The VIX forward curve consists of VIX futures prices at various delivery times in the future.
  Academic research states that volatility follows a mean reverting process. When the VIX futures curve is upward sloped (in contango),
  the VIX is expected to rise because it is low relative to long-term average levels and vice versa for the downward sloped VIX future curve.
  In this study, we will create a strategy with the term structure effect of VIX futures and hedge the term structure risk with the S&amp;P500 futures.
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